Tatjana Dahlhaus is a Principal Researcher in the Canadian Economic Analysis Department at the Bank of Canada. Her research interests lie in the fields of applied Macroeconomics and Econometrics, time series analysis, monetary policy, and climate change. Tatjana received her PhD in Economics from Universitat Autonoma de Barcelona, Spain.
Staff discussion papers
This paper introduces a new tool to monitor economic and financial vulnerabilities in emerging-market economies. We obtain vulnerability indexes for several early warning indicators covering 26 emerging markets from 1990 to 2017 and use them to monitor the evolution of vulnerabilities before, during and after an economic or financial crisis.
Staff working papers
We study how different monetary policies affect the yield curve and interact. Our study highlights the importance of the spillover structure across the yield curve for policy-making.
We document a strong asymmetry in the evolution of federal funds rate expectations and map this observed asymmetry into measures of monetary policy uncertainty. We show that periods of monetary policy tightening and easing are distinctly related to downside (policy rate is higher than expected) and upside (policy rate is lower than expected) uncertainty.
We introduce limited information in monetary policy. Agents receive signals from the central bank revealing new information (“news") about the future evolution of the policy rate before changes in the rate actually take place. However, the signal is disturbed by noise.
Emerging-market economies have become increasingly important in driving global GDP growth over the past 10 to 15 years. This has made timely and accurate assessment of current and future economic activity in emerging markets important for policy-makers not only in these countries but also in advanced economies.
The Federal Reserve’s path for withdrawal of monetary stimulus and eventually increasing interest rates could have substantial repercussions for capital flows to emerging-market economies (EMEs).
The U.S. Federal Reserve responded to the great recession by reducing policy rates to the effective lower bound. In order to provide further monetary stimulus, they subsequently conducted large-scale asset purchases, quadrupling their balance sheet in the process.
This paper studies the effects of a monetary policy expansion in the United States during times of high financial stress. The analysis is carried out by introducing a smooth transition factor model where the transition between states (“normal” and high financial stress) depends on a financial conditions index.
- “Nowcasting the BRIC+M in Real Time"
(with Justin-Damien Guenette and Garima Vasishtha), International Journal of Forecasting, forthcoming.
- “International Transmission Channels of U.S. Quantitative Easing: Evidence from Canada"
(with Kristina Hess and Abeer Reza), Journal of Money, Credit and Banking, forthcoming.
- "Conventional Monetary Policy Transmission during Financial Crises: An Empirical Analysis"
Journal of Applied Econometrics, Volume 32, Issue 2, pp. 401-421, March 2017.
- "Key Features and Determinants of Credit-less Recoveries"
(with Martin Bijsterbosch), Empirical Economics, Volume 49, Issue 4, pp. 1245-1269, 2015.
- “Determinants of Credit-less Recoveries”
(with Martin Bijsterbosch), ECB Working Paper No. 1358, June 2011.